This is a summary of links recently featured on Quantocracy as of Monday, 09/28/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Do Stocks Fall When Bond Yields Rise? 63 Years of Data [Portfolio Terminal]From January 1963 to August 2026, the 10-year Treasury yield rose 1 percentage point or more within 12 months in 20 separate episodes; the S&P 500 fell over the same 12 months in 7 of them. All 7 of those S&P 500 losses came with US consumer-price inflation at 3% or more. In the 6 episodes where inflation was under 3%, including 1994, 2013 and 2021, the S&P 500 rose every time. Across
-
Information Theory for Traders: Entropy, Mutual Information, Channel Limits [Aligrithm]A feature that matches the sign of the next E-mini return on 4 days out of 5 leaves 0.722 bits of uncertainty about that sign. The part the feature removes is 0.278 bits of mutual information, out of the 1 bit in a fair coin. The binary channel that flips 1 transmitted bit in 5 has that 0.278 as its capacity, and no choice of how often the feature calls up versus down raises it. What this actually
-
Kalman filter vs the 200-day moving average: a stochastic model against a geometric rule [Quanter Lab]Many trend rules can be drawn on the chart, and the 200-day line is the best known of them: hold the fund while the price is above its average of the last 200 days, step aside when it falls below. A Kalman filter comes at the same prices from statistics. It treats every close as a noisy reading of a trend nobody can see and updates its estimate of that trend each day, the way a guidance system
-
Lead-Lag Is Multidimensional: Trade Price and OBI Predict Others’ Midpoints [Aligrithm]The Euro Stoxx 50 future's trade price led the DAX future's midpoint on 99% of trading days from January to June 2021, and the lag that maximized the correlation was 100 microseconds. Bender, Cestonaro, and Schmidt measure that lead on 19 Xetra and Eurex instruments, across nine microstructure series, with a lag-shifted Hayashi-Yoshida correlation: the sum of price changes whose time